Japanese Yen Futures Volatility Forecast (21/03/2011)

We would like to start the article by apologizing for having written we would enter a short position on Japanese Yen futures because we meant exactly the opposite. Specifically, a short on the USD/JPY spot market is a long futures position and vice versa.

As a consequence, the last week we entered a short position on the spot market and we bought some futures in order not to be carried away from the Japanese crises.

The current volatility is 0.7% (11.1% annualised) and the TGARCH curve seems to be upward sloping which highlights a further increase in market fluctuations over the next trading days.

On the other hand, the market seems to have already digested most of the news coming from Tokyo and therefore the next week could see a bit of a sideways movement.

We think that the market is going to rally to 126.5 but it will then revert and retest the 123.5 – 124 area by the end of the week. The staff of HyperVolatility will monitor the market and we will start placing some shorts as soon as we will detect some weakness in the price action.

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